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Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2020

Persistent link: https://www.econbiz.de/10012392216

Chapter 3. Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Handbook of econometrics : Volume 7A, (pp. 219-282). 2020

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

Persistent link: https://www.econbiz.de/10014024924

Overcoming deterministic limits to robustness tests of decision-making given incomplete information : the state contingent analysis approach

Adamson, David; Loch, Adam - In: Water Economics and Policy : WEP 08 (2022) 4, pp. 1-41

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Stock picking with machine learning

Wolff, Dominik; Echterling, Fabian - In: Journal of forecasting 43 (2024) 1, pp. 81-102

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Arbitrage and leverage strategies in bubbles under synchronization risks and noise-trader risks

Tan, Senren; Zhuo, Jin; Wu, Fuke - In: Economic modelling 49 (2015), pp. 331-343

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Is Fundamental Indexation able to time the market? : evidence from the Dow Jones Industrial Average and the Russell 1000

Chen, Doris; Dempsey, Michael; Lajbcygier, Paul - In: Journal of international financial markets, … 37 (2015), pp. 162-177

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Should long-term investors time volatility?

Moreira, Alan; Muir, Tyler - In: Journal of financial economics 131 (2019) 3, pp. 507-527

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Idiosyncratic risk and mutual fund performance

Vidal-García, Javier; Vidal, Marta; Boubaker, Sabri; … - In: Decision making and risk/return optimization in …, (pp. 349-372). 2019

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The impact of culture on market timing in capital structure choices

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Debt-equity choices, R&D investment and market timing

Lewis, Craig M.; Tan, Yongxian - In: Journal of financial economics 119 (2016) 3, pp. 599-610

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